2019 July June 2020 Audit Report
Audit Report  Swing Strategy
2018 July  June 2019 Audit Report
Audit Report  Alpha Strategy
Audit Report  High Growth
Audit Report  MultiStrategy
Audit Report  Swing Strategy
Acronym 
Metric 
Definition 
Description 
Balance / Account Balance 
Account Balance 
Account Balance at a particular date is the value of the investors account including profit or loss on closed / realised trades, but does not include unrealised profit or loss on active / open positions. 

Start of month 

The Account balance at the start of the month. 

Net deposits / withdrawals 

The net total of deposits and withdrawals made in the period by the investor. 

Gross $ 
Closed trade P&L 
The cumulative amount of realised profits and losses on all individual realised / closed trades in the period in AUD, after deducting brokerage and slippage. 

End of month 

The Account balance at the end of the month 

Gross % 

The Gross $ in the period as a percentage of the Start of month 

Management Fee 
Management Fee 
Account Balance times the Monthly MMFR% 

MMFR% 
Monthly Management Fee Rate% 
The amount charged as a management fee each month for each strategy. 
Multi Strategy, Swing Strategy MMFR = 0.183% High Growth Strategy, Alpha Growth Strategy MMFR = 0.275% 
Cumulative Gross $ 

The $ amount of the cumulative monthly Gross $ since inception of the investment strategy. 

HWM 
High Water Mark 
The highest Cumulative Gross $ achieved at the end of a month since the inception of the investment strategy. 
If the Cumulative Gross $ higher than the existing High Water Mark, it will become the new High Water Mark. 
Gain Over HWM 
Gain Over previous HWM 
If the Cumulative Gross $ at the at the end of the month is higher than the previous HWM, then this becomes the new HWM, and the amount of the difference between the two is the Gain over the previous HWM 

Performance fee rate 

The monthly performance fee charged on a strategy expressed as a percentage. 
Multi Strategy, Swing Strategy MMFR = 2.2% High Growth Strategy, Alpha Growth Strategy MMFR = 3.3% 
Performance Fee 

The amount charged each month as a performance fee.
The performance fee is calculated as the performance fee rate times the Gain Over HWM. 
Performance fee example: The existing HWM is $10,000. The ending Cumulative Gross $ for the month is $15,000. The new HWM becomes $15,000 and the performance fee is charged on the difference ($15,000  10,000 = $5,000), times the Performance fee rate. 
Total fees 
Total Fees 
The total fees charged in the month. 
The sum of the Management fee and the Performance fee charged in the month. 
Net $ 
Closed trade P&L less Total fees 
The amount of the net return to an investor in $ after all fees, brokerage, and slippage in the month have been deducted. 

Net % 
Net Return 
The amount of the net return to an investor in % after all fees, brokerage, and slippage in the month have been deducted. 

Cumulative net return % 
Cumulative net return % 
The sum of the monthly Net Return’s (Net %) , for the period 1 July 2018 until 30 June 2019 or from the date of inception of the strategy until 30 June 2019 if this is later. 

Sum 

The sum of the months Net % for the months in the calendar year in the particular row in the table.
The Sum is not an annualised return of any sort. 
For example, if the strategy first started recording Net % in October 2019, and the Net % for October 2019 was 4.032%, for November 2019 was 18.928%, and for December 2019 was 6.788%, then the Sum for the 2018 row would be 16.172%. 
Source Data 

The trades undertaken in the High Growth, Alpha Growth, Swing and Multi Strategy Model Portfolio Traders Account for the period from 1 July 201 until 30 June 2019 on which the Statement of Net Returns have been calculated. 

MaxDD 
Maximum Drawdown 
MDD = (TV– PV) ÷ PV where; TV = Trough Value PV = Peak Value 
A maximum drawdown (MDD or MaxDD) is the maximum loss from a peak to a trough of a portfolio, before a new peak is attained. Maximum Drawdown (MDD) is an indicator of downside risk over a specified time period. It can be used both as a standalone measure or as an input into other metrics such as "Return over Maximum Drawdown" and the Calmar Ratio. 
Slippage 
Slippage 
Slippage occurs when there is a change in the bid/ask spread. A market order may get executed at a less or more favourable price than originally intended when this happens. With negative slippage, the ask has increased in a long trade or the bid has decreased in a short trade. 
Slippage occurs when there is a change in the bid/ask spread. A market order may get executed at a less or more favourable price than originally intended when this happens. With negative slippage, the ask has increased in a long trade or the bid has decreased in a short trade. 
Equity 
Account Equity 
Account Equity in trading refers to the amount of money that an investor would have in their account / investment strategy when all open or active positions are realised and closed. 

Calmar (MAR) Ratio 
Calmar (MAR) Ratio 
Calmar Ratio = CAGR / MaxDD 
Developed by Terry W. Young in 1991, the Calmar ratio is short for California Managed Account Reports. The Calmar ratio is a comparison of the average annual compounded rate of return and the maximum drawdown risk of commodity trading advisors and hedge funds. The lower the Calmar ratio, the worse the investment performed on a riskadjusted basis over the specified time period; the higher the Calmar ratio, the better it performed. Generally speaking, the time period used is three years, but this can be higher or lower based on the investment in question. 
Sharpe Ratio 
Sharpe Ratio 
Sharpe Ratio = (Mean Portfolio Return − RiskFree Rate)/Standard Deviation of Portfolio Return 
The Sharpe ratio is the average return earned in excess of the riskfree rate per unit of volatility or total risk. Subtracting the riskfree rate from the mean return, the performance associated with risktaking activities can be isolated. One intuition of this calculation is that a portfolio engaging in “zero risk” investment, such as the purchase of U.S. Treasury bills (for which the expected return is the riskfree rate), has a Sharpe ratio of exactly zero. Generally, the greater the value of the Sharpe ratio, the more attractive the riskadjusted return. 
Sortino Ratio 
Sortino Ratio 
The ratio S is calculated as; S = (RT)/DR, where; R is the asset or portfolio average realised return, T is the target or required rate of return for the investment strategy under consideration (originally called the minimum acceptable return MAR), DR is the target semideviation (the square root of target semivariance), termed downside deviation. 
The Sortino ratio improves upon the Sharpe ratio by isolating downside volatility from total volatility by dividing excess return by the downside deviation. The Sortino ratio is a variation of the Sharpe ratio that differentiates harmful volatility from total overall volatility by using the asset's standard deviation of negative asset returns, called downside deviation. The Sortino ratio takes the asset's return and subtracts the riskfree rate, and then divides that amount by the asset's downside deviation. S is expressed in percentages and therefore allows for rankings in the same way as standard deviation. 
PF 
Profit Factor 
PF = GP / GL where; GP = Gross Profits GL = Gross Losses 
This performance metric relates the amount of profit per unit of risk, with values greater than one indicating a profitable system. 